Mary revealed the royal couple's reaction to the news during her first public appearance following the recent announcement of her pregnancy.

"To see the expressions on our faces would have been very entertaining. It was a really huge surprise," the elegant brunette said during a press conference at the 500th anniversary celebrations of the Danish Navy on Tuesday.

Stood in Copenhagen harbour hand-in-hand with her two children, she added: "My husband and I are incredibly happy. And I feel fine, although a little tired from time to time."

When asked whether they knew what was inside their mummy's tummy, prince Christian, four, shyly pointed at Mary's tummy and said: "babies" while princess Isabella, three, held up two fingers.

Looking radiant in an elegant, fitted beige dress, there was almost no sign whatsoever of a baby bump, despite the fact that she will give birth in January.